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Based on the fact that the presence of a structural change in factor loadings yields a structural change in second moments of factors obtained from the full sample principal component estimation, we reduce the infinite-dimensional problem into a finite-dimensional one and our statistic compares the pre- and postbreak subsample second moments of estimated factors. Our test is consistent under the alternative hypothesis in which a fraction of or all factor loadings have structural changes. The Monte Carlo results show that our test has good finite-sample size and power.<\/jats:p>","DOI":"10.1017\/s0266466614000486","type":"journal-article","created":{"date-parts":[[2014,9,15]],"date-time":"2014-09-15T14:08:37Z","timestamp":1410790117000},"page":"1117-1152","source":"Crossref","is-referenced-by-count":100,"title":["TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS"],"prefix":"10.1017","volume":"31","author":[{"given":"Xu","family":"Han","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Atsushi","family":"Inoue","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,9,15]]},"reference":[{"key":"S0266466614000486_ref2","doi-asserted-by":"publisher","DOI":"10.2307\/2951753"},{"key":"S0266466614000486_ref19","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"S0266466614000486_ref26","volume-title":"The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. 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